ISBN 13 : 9781394179657

Sommaire :
Preface

Chapter 1 Introduction and Overview

Part I Basic Foundations for Derivative Pricing
Chapter 2 Boundaries, Limits, and Conditions on Option Prices
Chapter 3 Elementary Review of Mathematics for Finance
Chapter 4 Elementary Review of Probability for Finance
Chapter 5 Financial Applications of Probability Distributions
Chapter 6 Basic Concepts in Valuing Risky Assets and Derivatives

Part II Discrete Time Derivatives Pricing Theory
Chapter 7 The Binomial Model
Chapter 8 Calculating the Greeks in the Binomial Model
Chapter 9 Convergence of the Binomial Model to the Black-Scholes-Merton Model

Part III Continuous Time Derivatives Pricing Theory
Chapter 10 The Basics of Brownian Motion and Wiener Processes
Chapter 11 Stochastic Calculus and Itô's Lemma
Chapter 12 Properties of the Lognormal and Normal Diffusion Processes for Modeling Assets
Chapter 13 Deriving the Black-Scholes-Merton Model
Chapter 14 The Greeks in the Black-Scholes-Merton Model
Chapter 15 Girsanov's Theorem in Option Pricing
Chapter 16 Connecting Discrete and Continuous Brownian Motions

Part IV Extensions and Generalizations of Derivative Pricing
Chapter 17 Applying Linear Homogeneity to Option Pricing
Chapter 18 Compound Option Pricing
Chapter 19 American Call Option Pricing
Chapter 20 American Put Option Pricing
Chapter 21 Min-Max Option Pricing
Chapter 22 Pricing Forwards, Futures, and Options on Forwards and Futures

Part V Numerical Methods
Chapter 23 Monte Carlo Simulation
Chapter 24 Finite Difference Methods

Part VI Interest Rate Derivatives
Chapter 25 The Term Structure of Interest Rates
Chapter 26 Interest Rate Contracts: Forward Rate Agreements, Swaps, and Options
Chapter 27 Fitting an Arbitrage-Free Term Structure Model
Chapter 28 Pricing Fixed-Income Securities and Derivatives Using an Arbitrage-Free Binomial Tree

Part VII Miscellaneous Topics
Chapter 29 Option Prices and the Prices of State-Contingent Claims
Chapter 30 Option Prices and Expected Returns
Chapter 31 Implied Volatility and the Volatility Smile
Chapter 32 Pricing Foreign Currency Options

Index

Langue : Anglais

Collection : THE FRANF J. FABOZZI SERIES

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque